RT Journal Article
SR Electronic
T1 Momentum and Covered Calls <em>Almost</em> Everywhere
JF The Journal of Investing
FD Institutional Investor Journals
SP 47
OP 57
DO 10.3905/joi.2018.27.4.047
VO 27
IS 4
A1 Stephen J. Choi
A1 Gil-Lyeol Jeong
A1 Hogun Park
YR 2018
UL https://pm-research.com/content/27/4/47.abstract
AB This article examines times series momentum and covered call strategies through conventional representations across ten asset classes. The performance of the two strategies generally outperform static buy and hold investments and are classified as positive and negative autocorrelation factors. The tactical overlay of time series momentum and covered call strategies onto asset classes are considered asset transformations. The two transformed replacements of the underlying asset are incorporated into well-established risk-based allocation heuristics, such as maximum diversification and equal risk contribution. The resulting portfolios show enhanced risk-adjusted performance compared with corresponding buy and hold investments or individual strategy portfolios. The authors designate this global tactical asset allocation framework as autocorrelation factor allocation (ACFA).TOPICS: Options, statistical methods, performance measurement, portfolio construction